Support Vector Data Description Based Multivariate Cumulative Sum Control Chart

Abstract

A SVDD (Support Vector Data Description) based MCUSUM (Multivariate Cumulative Sum) chart is proposed and referred as S-MCUSUM chart, which has an advantage of distribution free. Numerical experiments on the performance of the S-MCUSUM chart is compared to the COT (Cumulative of T) chart. The results show that the COT chart is somewhat better than the S-MCUSUM chart for multivariate normally distributed data. However, the S-MCUSUM chart is much better than the COT chart for banana-shaped distributed data which is a typical non-normal distribution.